Most cloud platforms offer both a visual interface and a CLI for us developers, and Azure is not different here. I use both, but I primarily enjoy the CLI once I know what I want and when I want to get there quickly. UI's are great when we need that guided experience, which is often helpful. But once we get that familiarity, the CLI can get us through our journey much faster. This allows me to focus on what I am building more.
Here is a short video clip showing how you can install the Azure CLI on macOS. You can see instructions for both macOS and Windows, here.